Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0562
Annualized Std Dev 0.3591
Annualized Sharpe (Rf=0%) 0.1564

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2795
Quartile 1 -0.0090
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0002
Quartile 3 0.0106
Maximum 0.2833
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0005
Stdev 0.0226
Skewness -0.2549
Kurtosis 15.7735

Downside Risk

Close
Semi Deviation 0.0164
Gain Deviation 0.0163
Loss Deviation 0.0181
Downside Deviation (MAR=210%) 0.0205
Downside Deviation (Rf=0%) 0.0162
Downside Deviation (0%) 0.0162
Maximum Drawdown 0.8515
Historical VaR (95%) -0.0329
Historical ES (95%) -0.0543
Modified VaR (95%) -0.0311
Modified ES (95%) -0.0311
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 NA -0.8515 3342 312 NA
2000-02-09 2001-09-21 2003-10-30 -0.6459 936 405 531
2006-05-11 2006-06-13 2007-10-29 -0.3683 370 23 347
2004-01-14 2004-05-17 2004-12-21 -0.3447 237 86 151
2005-09-20 2005-10-27 2006-01-26 -0.2121 89 28 61

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.1 8.5 -2.1 4 3 -0.6 -2.9 -2 -3.3 -4.5 2.8 3.5 5.8
2000 1.9 2.7 -1.9 2.6 0 3.2 -1.2 3.1 -1.2 -1.2 4.3 1.1 14.1
2001 -0.3 1 -11.9 0.2 0.4 0.6 -0.4 1 -3.9 4 0.2 4.2 -5.7
2002 0 2.5 0.8 0.1 0.9 0.6 -3.3 0.4 -0.7 -0.8 0.7 1.9 3.2
2003 -1.6 0.3 0.2 1.2 0.6 -0.6 -1.1 0.7 0.7 4.7 4.4 -2.5 6.8
2004 5.2 5.2 4.1 -0.5 1 -0.4 0 2.7 3.1 0.4 4.5 1.1 29.6
2005 1.1 1.1 3.4 1.6 -0.5 1.3 -0.8 1.2 -0.3 4.5 3.4 -0.6 16.2
2006 -1.7 3.6 -0.9 2.5 2.7 -0.9 -1.4 0.8 -0.1 -1 0 -0.7 2.8
2007 2 0.1 -2.9 0.4 1.1 0.4 -0.9 2.3 1.6 -3.5 3.2 2.4 6.2
2008 4.2 -3.1 5.8 2.3 0.2 -2.6 3.6 -1.2 2.5 3.9 -5 2.5 13.3
2009 0 -0.7 6.2 2.9 5.3 0 1.6 -0.8 -1 -3.8 1.7 0.1 11.5
2010 0.8 1.4 1.3 -0.6 -2.2 -0.7 -0.3 3 2.2 0.4 4.2 0.6 10.4
2011 -0.9 0.9 0.4 0.1 -1.1 -0.7 -0.3 -1.4 -3.2 -2.3 0.1 2 -6.5
2012 2.9 0.8 2.2 0 -1.5 5.4 -0.5 0.7 1.8 1.8 1.3 -0.1 15.8
2013 0.8 -0.7 -0.5 -1.3 -2.3 1 1.4 2.2 2.4 0.4 1.8 -0.6 4.5
2014 -0.1 0.2 0.8 -0.4 -0.9 1.1 -0.3 0.5 -1.6 2.3 0.5 0.6 2.7
2015 -2 2.1 1.1 1.4 0.6 1.5 1.3 -0.8 -0.8 -0.9 1 1.3 6
2016 0.8 4.1 0.6 -0.1 -0.2 1.5 0.2 -0.2 1.2 -0.7 -0.9 1.1 7.5
2017 1 1.4 0.7 -0.1 1 0.1 0.6 0.5 0.4 0.7 -1.2 0.4 5.7
2018 -1.2 0.4 -1.1 -0.8 0.7 0.9 0.2 0.8 -1.3 3.3 -0.3 0.1 1.6
2019 -0.8 -0.3 0.7 -0.5 0.5 1.2 -0.6 0.3 -1.7 1 -0.5 -0.3 -1
2020 -1 -4.4 -6.2 -2.9 2.4 1.2 -0.3 1.2 1.1 -0.1 2.5 -0.2 -7
2021 4.1 2.3 1.2 NA NA NA NA NA NA NA NA NA 7.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  7    SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  7.06 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  7.5  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  7.56 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  7.75 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  7.62 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart